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A re-examination of the Fisher effect using an alternative approach

Hatemi-J, Abdulnasser LU (2011) In Applied Economics Letters 18(9). p.855-858
Abstract
The Fisher Effect (FE) is of fundamental importance in financial markets. The majority of previous studies have not managed to obtain the expected one-for-one reaction of the nominal interest rate to the inflation rate. The aim of this article is to reinvestigate the FE for the USA and the UK using a case-wise bootstrap approach developed by Hatemi-J and Hacker (2005). This method is robust to nonnormality or heteroscedasticity and it is used to calculate and test the statistical significance of the coefficients. The results support a tax-adjusted FE in the presence of a structural break.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
Applied Economics Letters
volume
18
issue
9
pages
855 - 858
publisher
Routledge
external identifiers
  • wos:000291089400012
  • scopus:79957600467
ISSN
1466-4291
DOI
10.1080/13504851.2010.505551
language
English
LU publication?
yes
id
c88c43bd-e23c-4446-b81d-59c5e441cc99 (old id 1985638)
date added to LUP
2016-04-01 10:45:18
date last changed
2022-01-26 02:09:46
@article{c88c43bd-e23c-4446-b81d-59c5e441cc99,
  abstract     = {{The Fisher Effect (FE) is of fundamental importance in financial markets. The majority of previous studies have not managed to obtain the expected one-for-one reaction of the nominal interest rate to the inflation rate. The aim of this article is to reinvestigate the FE for the USA and the UK using a case-wise bootstrap approach developed by Hatemi-J and Hacker (2005). This method is robust to nonnormality or heteroscedasticity and it is used to calculate and test the statistical significance of the coefficients. The results support a tax-adjusted FE in the presence of a structural break.}},
  author       = {{Hatemi-J, Abdulnasser}},
  issn         = {{1466-4291}},
  language     = {{eng}},
  number       = {{9}},
  pages        = {{855--858}},
  publisher    = {{Routledge}},
  series       = {{Applied Economics Letters}},
  title        = {{A re-examination of the Fisher effect using an alternative approach}},
  url          = {{http://dx.doi.org/10.1080/13504851.2010.505551}},
  doi          = {{10.1080/13504851.2010.505551}},
  volume       = {{18}},
  year         = {{2011}},
}